Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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A Unit Root Test for Multivariate Autoregressive Model with Multiple Unit Roots

  • Shin, Key-Il (Department of Statistics, Hankuk University of Foreign Studies, Yong in-Si, Gyunggi-Do, 449-791)
  • Published : 1997.09.01
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Abstract

Recently maximum likelihood estimators using unconditional likelihood function are used for testing unit roots. When one wants to use this method the determinant term of initial values in the multivariate unconditional likelihood function produces a complicated function of the elements in the coefficient matrix and variance matrix. In this paper an approximation of the determinant term is calculated and based on this aproximation an approximated unconditional likelihood function is calculated. The approximated unconditional maximum likelihood estimators can be used to test for unit roots. When multivariate process has one unit root the limiting distribution obtained by this method and the limiting distribution using exact unconditional likelihood function are the same.

Keywords

References

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